This is a summary of links featured on Quantocracy on Tuesday, 07/16/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Pragmatic Asset Allocation from Vojtko and Javorska of Quantpedia [Allocate Smartly]This is a test of Pragmatic Asset Allocation from Vojtko and Javorsk of Quantpedia. While the strategy is tactical (i.e. changes allocation over time in response to market conditions), its also designed to ensure tax efficiency. We track many tactical strategies that have been tax efficient, but none that enforce that efficiency through explicit rules (more on this later). Backtested
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Managed Futures versus Market-Neutral Multi-Factor Investing [Finominal]Managed futures and market-neutral factor investing offered uncorrelated returns to stocks However, these two alternative strategies exhibited similar trends in correlations to equities Having exposure to both does not generate superior diversification benefits INTRODUCTION At first glance, the universe of alternative strategies is large and full of wonders. However, deeper analysis often reveals